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dc.contributor.authorKnetsch, Thomas A.en_US
dc.date.accessioned2009-01-28T16:01:32Z-
dc.date.available2009-01-28T16:01:32Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/19624-
dc.description.abstractThe paper presents empirical work on short-run and long-run comovement between the German, French and Italian aggregates of private consumption, business investment, exports, imports, GDP, and changes in inventories. In country-specific data sets, cointegration analyses are carried out both to identify long-run economic relationships and to remove the trend components from the nonstationary series. Analytically, this is done by reparametrizing the vector error correction model in its common trends representation. The resulting (Beveridge-Nelson) trend and cycle components as well as the series of changes in inventories are analyzed with a focus on synchronicity. To measure crosscountry comovement at different frequencies, "cohesion", a summary statistic developed by Croux et al. [2001], is applied. Sampling variability and parameter uncertainty are captured by bootstrapped confidence intervals.en_US
dc.language.isoengen_US
dc.relation.ispartofseriesDiscussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2005,39en_US
dc.subject.jelE32en_US
dc.subject.jelC32en_US
dc.subject.ddc330en_US
dc.subject.keywordcointegrationen_US
dc.subject.keywordtrend-cycle decompositionen_US
dc.subject.keywordcohesionen_US
dc.subject.keywordbootstrapen_US
dc.subject.stwKonjunkturzusammenhangen_US
dc.subject.stwSozialprodukten_US
dc.subject.stwGesamtwirtschaftliche Nachfrageen_US
dc.subject.stwKointegrationen_US
dc.subject.stwSch├Ątzungen_US
dc.subject.stwDeutschlanden_US
dc.subject.stwFrankreichen_US
dc.subject.stwItalienen_US
dc.titleShort-run and long-run comovement of GDP and some expenditure aggregates in Germany, France and Italyen_US
dc.typeWorking Paperen_US
dc.identifier.ppn504774891en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp1:4233-
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

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